HIU V S DNG NG RISK PREMIUM OF DAMODARAN

Trong thi gian gn y, mt s chuyn vin phn tch bt u tm ti v s dng nhng thnh qu ca cc gio s trn th gii, mt trong nhng thnh qu l phn b ri ro (risk premium RP) ca Gio s Aswath Damodaran (Professor of Finance, Leonard N. Stern School of Business, New York University). Thng tin c ly t link: http://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/ctryprem.html Tuy nhin, hiu v dng cho ng RP ca Damodaran th cn c k hng dn trc khi s dng. Ti trang web, Damodaran gii thch r cch tnh country RP v total RP cng nh cch dng. l: Country RP c dng l long term v c tnh bng cch ly nh mc tn nhim quc gia (t Moodys) v c tnh chnh lch v n cho mc tn nhim (d trn li tc tri phiu ca quc gia c giao dch so vi li tc tri phiu chnh ph phi ri ro. (To estimate the long term country risk premium, I start with the country rating (from Moody's: www.moodys.com) and estimate the default spread for that rating based upon traded country bonds over a default free government bond rate. This becomes a measure of the added country risk premium for that country.) Ngha l country RP = default spread for country rating = traded country bonds - default free government bond rate (c 2 bonds trn u l local currency denominated) Tip theo, Damodaran cho bit, ng add this default spread to the historical risk premium for a mature equity market (estimated from US historical data) to estimate the total risk premium v my estimated risk premium of 5% for mature markets (obtained by looking at the implied premium for the S&P 500). Nh vy, market RP i vi th trng pht trin c ng dng l 5%. total risk premium = country RP + market RP = country RP + 5% Nh vy l ta hiu c tnh ton ca total RP v country RP. Nhng s dng tnh chi ph vn ch s hu (cost of equity) nh th no? Damodaran cng cng b bi vit (paper) ca mnh v vn nh gi, gm c 3 phn: - Phn 1: Discounted cash flow valuation - Phn 2: Relative Valuation and Private Company Valuation - Phn 3: Option Pricing Applications, Acquisition Valuation and Value Enhancement Phin bn mi nht l 1/2011 ti: http://pages.stern.nyu.edu/~adamodar/pdfiles/eqnotes/packet1a.pdf Trong paper ny, ng hng dn k cng phng php nh gi DCF t FCFF v FCFE, gm: 1. Inputs (page 17- 89): hng dn cch la chn cc con s u vo ca model DCF 2. Estimated cash flows (page 90- 211): hng dn cch tnh ton dng tin s dng trong model DCF 3. Valuation (page 212 261): v d nh gi 12 cng ty khc nhau vi nhng im nhn ring bit (tng trng u, t bin, tng trng m, ph sn) Mt trong nhng iu u tin Damodaran lu (trang 18), l

Cng thc tnh chi ph VCSH c Damodaran lm r hn ti trang 40:

Nu gi nh Beta ca Cng ty VN l 1 th yu t cn li cn tm l li sut phi ri ro (Risk-free rate RF) thng l li sut TPCP. Vy chn li sut TPCP ca M (1.5%) hay ca Vit Nam (12.5%)? C 2 u khng ng v, theo Damodaran, li sut tri phiu c pht hnh bi nhng quc gia c local currency rating khng phi l Aaa l c n trong default spread ri (xem paper v Risk free, trang 23-24). Do , cn loi b default spread ra khi li sut TPCP v ti trang 29 ca paper v DCF, ng ni:

V trang 76 din gii thm v vn ng tin ca RF:

=> RF of VN = TPCP 5 nm Default spread = 12.5% - 4% = 8.5% T cc cng thc trn, ta c Cost of Equity m Damodaran ngh c tnh nh sau: RE = RF + Beta* Total RP (c tnh nh (c th gi (RP of mature market + country RP of Vietnam) trn) nh l 1) = 8.5% + 1* (5% + 6%) = 8.5% + 11% = 19.5% Xem thm v d tnh RE ca cng ty Tsingtao (Trung quc) trang 227 v cc cng ty khc trong phn Valuation (page 212 261) Mt s site cng tho lun iu ny 1. http://www.finance30.com/forum/topics/damodaran-equity-risk-premium? commentId=1987892%3AComment%3A1017368 2. http://www.finexpert.info/current-topics/2010-july-dec.html

Tham kho: 1. Damodaran Online http://pages.stern.nyu.edu/~adamodar/ 2. D liu phn b ri ro (cp nht thng 7/2011) ca Damodaran http://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/ctryprem.html 3. D liu TPCP M - ngun Bloomberg http://www.bloomberg.com/markets/rates-bonds/government-bonds/us/ 4. D liu TPCP Vit Nam - ngun HNX http://bond.hnx.vn/default.aspx?subid=192&tabID=165&tabpID=160&tabIndex=2 5. Paper v DCF valuation, Risk-free rate 5. Cc papers khc ca Damodaran: http://pages.stern.nyu.edu/~adamodar/New_Home_Page/papers.html http://pages.stern.nyu.edu/~adamodar/New_Home_Page/valuation/val.htm